Christian Schlag

Goethe University Frankfurt

Faculty of Economics and Business

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, Hessen 60323

Germany

Leibniz Institute for Financial Research SAFE

(http://www.safe-frankfurt.de)

Theodor-W.-Adorno-Platz 3

Frankfurt am Main, 60323

Germany

  • Goethe University Frankfurt

  • Leibniz Institute for Financial Research SAFE

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SCHOLARLY PAPERS

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Scholarly Papers (52)

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1.

(In)-Credibly Green: Which Bonds Trade at a Green Bond Premium?

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 53 Posted: 28 Mar 2019 Last Revised: 03 May 2021
Julia Kapraun, Julia Kapraun, Carmelo Latino, Christopher Scheins and Christian Schlag
Goethe University Frankfurt - House of FinanceUniversity of Hamburg, Leibniz Institute for Financial Research SAFE, Goethe University Frankfurt and Goethe University Frankfurt
Downloads 2,541 (7,676)
Citation 29

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Green Bonds, Sustainable Investing, Green Premium, Impact Investing

2.

Volatility-of-Volatility Risk

Downloads 1,938 ( 11,886)
Citation 7

Volatility-of-Volatility Risk

Number of pages: 65 Posted: 19 Sep 2014 Last Revised: 19 Feb 2018
Darien Huang, Christian Schlag, Ivan Shaliastovich and Julian Thimme
Cornell University - Department of Finance, Goethe University Frankfurt, University of Wisconsin - Madison and Karlsruhe Institute of Technology
Downloads 1,588 (15,959)
Citation 3

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volatility, volatility of volatility, VIX, VVIX, options

Volatility-of-Volatility Risk

SAFE Working Paper No. 210, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 62 Posted: 29 May 2018 Last Revised: 02 Sep 2020
Christian Schlag, Ivan Shaliastovich, Julian Thimme and Darien Huang
Goethe University Frankfurt, University of Wisconsin - Madison, Karlsruhe Institute of Technology and Cornell University - Department of Finance
Downloads 350 (120,214)
Citation 4

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volatility of volatility, hedging errors, risk premiums

3.

Momentum-Managed Equity Factors

SAFE Working Paper No. 317
Number of pages: 68 Posted: 22 Jul 2019 Last Revised: 20 Jul 2021
Volker Flögel, Christian Schlag and Claudia Zunft
Quoniam Asset Management GmbH, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
Downloads 1,162 (25,956)

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factor timing, time series momentum, anomalies

4.

CAPM with Option-Implied Betas: Another Rescue Attempt

Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 18 Mar 2009
Adrian Buss, Christian Schlag and Grigory Vilkov
Frankfurt School of Finance & Management, Goethe University Frankfurt and Frankfurt School of Finance & Management
Downloads 1,135 (26,804)
Citation 1

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conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations

5.

Model Risk: A Conceptual Framework for Risk Measurement and Hedging

Number of pages: 28 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt
Downloads 1,043 (30,297)
Citation 10

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Model Risk, Risk Measures, Hedging, Expected Shortfall, Bayesian statistics

6.

The Dynamics of Risk-Neutral Implied Moments: Evidence from Individual Options

Number of pages: 32 Posted: 10 Sep 2009 Last Revised: 02 Feb 2010
Alexandra Hansis, Christian Schlag and Grigory Vilkov
Goethe University Frankfurt - House of Finance, Goethe University Frankfurt and Frankfurt School of Finance & Management
Downloads 1,024 (31,098)
Citation 8

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risk-neutral distribution, option-implied moments, model-free variance, skewness, kurtosis, vector autoregression

7.

GMM Weighting Matrices in Cross-Sectional Asset Pricing Tests

Number of pages: 58 Posted: 21 Nov 2017 Last Revised: 29 Jun 2021
Nora Laurinaityte, Christoph Meinerding, Christian Schlag and Julian Thimme
Bank of Lithuania, Deutsche Bundesbank, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 753 (47,494)
Citation 1

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Asset pricing, cross-section of expected returns

8.

The Leading Premium

Downloads 605 ( 63,115)
Citation 3

The Leading Premium

Number of pages: 61 Posted: 20 Nov 2015 Last Revised: 18 Oct 2021
Mariano (Max) Massimiliano Croce, Tatyana Marchuk and Christian Schlag
Finance Department, Bocconi University, BI Norwegian Business School and Goethe University Frankfurt
Downloads 596 (63,560)

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The Leading Premium

NBER Working Paper No. w25633
Number of pages: 71 Posted: 12 Mar 2019 Last Revised: 17 Jul 2022
Mariano (Max) Massimiliano Croce, Tatyana Marchuk and Christian Schlag
Finance Department, Bocconi University, BI Norwegian Business School and Goethe University Frankfurt
Downloads 9 (829,546)
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The Leading Premium

CEPR Discussion Paper No. DP12631
Number of pages: 52 Posted: 29 Jan 2018
Mariano (Max) Massimiliano Croce, Tatyana Marchuk and Christian Schlag
Finance Department, Bocconi University, BI Norwegian Business School and Goethe University Frankfurt
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9.

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia

Number of pages: 69 Posted: 24 Feb 2020 Last Revised: 20 Dec 2021
Joachim Grammig, Constantin Hanenberg, Christian Schlag and Jantje Sönksen
University of Tuebingen, University of Tuebingen - Faculty of Economics and Social Sciences, Goethe University Frankfurt and University of Tübingen
Downloads 562 (69,302)
Citation 1

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stock risk premia, option prices, machine learning

10.

Option Betas

Number of pages: 32 Posted: 22 Jun 2002
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt
Downloads 537 (73,408)

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asset pricing, option pricing, beta, risk management

11.

Price Discovery in International Equity Trading

Number of pages: 31 Posted: 10 May 2001
Joachim Grammig, Christian Schlag, Michael Melvin and Michael Melvin
University of Tuebingen, Goethe University Frankfurt and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 532 (74,253)
Citation 17

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12.

An Empirical Analysis of the Relation between Option Market Liquidity and Stock Market Activity

Number of pages: 42 Posted: 28 May 2004
Iskra Kalodera and Christian Schlag
University of Frankfurt and Goethe University Frankfurt
Downloads 527 (75,099)
Citation 5

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Liquidity, market activity, options markets

13.

Why is the Index Smile so Steep?

Number of pages: 21 Posted: 11 Oct 2002
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt
Downloads 494 (81,306)
Citation 9

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Option pricing, jump-diffusion, smile, implied volatility

14.

Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution

SAFE Working Paper No. 265
Number of pages: 78 Posted: 09 Dec 2016 Last Revised: 03 Feb 2020
Christian Schlag, Julian Thimme and Rüdiger Weber
Goethe University Frankfurt, Karlsruhe Institute of Technology and WU Vienna
Downloads 481 (83,923)
Citation 2

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Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing

15.

Has There Always Been Underpricing and Long-Run Underperformance? - Ipos in Germany Before World War I

EFA 0469; Center for Financial Studies WP No. 2000/12
Number of pages: 24 Posted: 15 Jan 2001
Anja Wodrich and Christian Schlag
Center for Financial Studies (CFS) and Goethe University Frankfurt
Downloads 415 (99,753)
Citation 10

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Initial Public Offerings, Underpricing, Long-Run Underperformance, Prize Stabilization, Impact of Changing Stock-Market Regulation and Institutional Setting on Underpricing

16.

An Economic Motivation for Variance Contracts

AFA 2006 Boston Meetings Paper
Number of pages: 41 Posted: 18 Mar 2005
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt
Downloads 407 (101,999)
Citation 5

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Variance Risk, Stochastic Volatility, Jump-Diffusion, Model Risk, Parameter Risk, Hedging Error

17.

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models

SAFE Working Paper No. 289
Number of pages: 51 Posted: 02 Jun 2016 Last Revised: 22 Jan 2021
Christian Schlag, Michael Semenischev and Julian Thimme
Goethe University Frankfurt, University of Muenster - Finance Center Muenster and Karlsruhe Institute of Technology
Downloads 388 (107,818)

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Asset pricing, cross-section of stock returns, predictability

18.

Over-Allotment Options in Ipos on Germany's Neuer Markt - an Empirical Investigation

Number of pages: 33 Posted: 14 Jul 2003
Stefanie Franzke and Christian Schlag
Center for Financial Studies an der Universität Frankfurt and Goethe University Frankfurt
Downloads 363 (116,237)
Citation 3

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Over-Allotment Option, Flotation Costs, Underwriter Fee, Neuer Markt

19.

Expected Option Returns and the Structure of Jump Risk Premia

Downloads 361 (116,954)
Citation 3

Expected Option Returns and the Structure of Jump Risk Premia

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 11 Feb 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt
Downloads 194 (217,238)
Citation 2

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Option returns, put puzzle, jump risk premia, volatility risk premium

Expected Option Returns and the Structure of Jump Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 40 Posted: 18 Mar 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Goethe University Frankfurt
Downloads 167 (247,344)
Citation 2

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Option returns, put puzzle, jump risk premia, volatility risk premium

20.

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?

Number of pages: 38 Posted: 14 May 2004
Nicole Branger and Christian Schlag
University of Muenster - Finance Center Muenster and Goethe University Frankfurt
Downloads 338 (125,732)
Citation 17

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Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error

21.

Extreme Inflation and Time-Varying Expected Consumption Growth

Downloads 333 (127,759)
Citation 1

Extreme Inflation and Time-Varying Expected Consumption Growth

Number of pages: 65 Posted: 02 Sep 2016 Last Revised: 03 Mar 2021
Ilya Dergunov, Christoph Meinerding and Christian Schlag
Australian National University (ANU), Deutsche Bundesbank and Goethe University Frankfurt
Downloads 256 (166,806)
Citation 1

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Long-run risk, inflation, recursive utility, filtering, disaster risk

Extreme Inflation and Time-Varying Expected Consumption Growth

SAFE Working Paper No. 334
Number of pages: 88 Posted: 05 Jan 2022
Ilya Dergunov, Christoph Meinerding and Christian Schlag
Australian National University (ANU), Deutsche Bundesbank and Goethe University Frankfurt
Downloads 77 (429,151)

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Long-run risk, inflation, recursive utility, filtering, disaster risk

22.

The Shape of the Pricing Kernel and Expected Option Returns

Swedish House of Finance Research Paper 20-25
Number of pages: 86 Posted: 12 Oct 2020 Last Revised: 19 Mar 2021
Christian Schlag, Tobias Sichert and Tobias Sichert
Goethe University Frankfurt and Stockholm School of EconomicsSwedish House of Finance
Downloads 302 (141,533)

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Pricing kernel, equity options, option returns, volatility, expected option returns, cross-section of option returns

23.

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Downloads 300 (142,491)
Citation 6

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 60 Posted: 16 Mar 2011
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University - Department of Finance and Goethe University Frankfurt
Downloads 186 (225,367)
Citation 2

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Asset pricing, Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility

The Role of Volatility Shocks and Rare Events in Long-Run Risk Models

Number of pages: 59 Posted: 14 Mar 2012
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University and Goethe University Frankfurt
Downloads 114 (333,482)
Citation 5

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Epstein-Zin preferences, variance risk premium, jump risk, stochastic volatility, level and slope of implied volatility smile

24.

Asset Pricing Under Uncertainty About Shock Propagation

SAFE Working Paper No. 34
Number of pages: 67 Posted: 28 Nov 2013 Last Revised: 25 Mar 2014
Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding and Christian Schlag
University of Muenster - Finance Center Muenster, Latvijas Banka, Goethe University Frankfurt, Deutsche Bundesbank and Goethe University Frankfurt
Downloads 299 (142,972)

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General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility

25.

Does Ambiguity about Volatility Matter Empirically?

Number of pages: 57 Posted: 11 Dec 2014 Last Revised: 10 Oct 2016
Nicole Branger, Christian Schlag and Julian Thimme
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 276 (155,160)

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Ambiguity, ambiguous volatility, asset pricing, long-run risks

26.

The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks

Number of pages: 46 Posted: 22 Jul 2004
Joachim Grammig, Christian Schlag, Michael Melvin and Michael Melvin
University of Tuebingen, Goethe University Frankfurt and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 243 (176,010)
Citation 12

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27.

Commodities, Financialization, and Heterogeneous Agents

SAFE Working Paper No. 131, BoL Working Paper No. 25/2016
Number of pages: 70 Posted: 07 Apr 2016 Last Revised: 29 Apr 2016
Nicole Branger, Patrick Grüning and Christian Schlag
University of Muenster - Finance Center Muenster, Latvijas Banka and Goethe University Frankfurt
Downloads 215 (197,738)

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Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets

28.

Mean-Variance Hedging with Limited Capital - a Decomposition Result

Number of pages: 18 Posted: 27 Mar 2002
Nicole Branger, Christian Schlag, Angelika Esser and Yulia Bondarenko
University of Muenster - Finance Center Muenster, Goethe University Frankfurt, Sal. Oppenheim Jr. & Cie. and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 214 (198,605)

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Mean-Variance hedging, risk management, limited capital, expected squared hedging error, optimal trading strategy, incomplete market, hedging numeraire

29.

Horizontal Industry Relationships and Return Predictability

SAFE Working Paper No. 256 (2019)
Number of pages: 56 Posted: 12 Aug 2019
Christian Schlag and Kailin Zeng
Goethe University Frankfurt and Jiangxi University of Science and Technology
Downloads 210 (202,123)
Citation 1

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connected industries, information flow, return predictability

30.

The Collateralizability Premium

SAFE Working Paper No. 264 (2019)
Number of pages: 88 Posted: 25 Oct 2019
Hengjie Ai, Jun E. Li, Kai Li and Christian Schlag
University of Wisconsin-Madison, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Peking University HSBC Business School and Goethe University Frankfurt
Downloads 193 (218,282)
Citation 5

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Cross-Section of Returns, Financial Frictions, Collateral Constraint

31.

Non-substitutable consumption growth risk

Number of pages: 58 Posted: 30 Nov 2018 Last Revised: 24 Feb 2022
Robert F. Dittmar, Christian Schlag and Julian Thimme
University of Michigan, Stephen M. Ross School of Business, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 187 (224,343)
Citation 1

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asset pricing, consumption, cross-section of stock returns, utility functions

32.

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Downloads 181 (230,800)
Citation 3

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Number of pages: 38 Posted: 12 Feb 2009
Paulo Rodrigues and Christian Schlag
Maastricht University - Department of Finance and Goethe University Frankfurt
Downloads 93 (382,458)
Citation 2

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Stochastic volatility, individual stocks, MCMC, volatility factors

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Number of pages: 38 Posted: 20 Mar 2009
Paulo Rodrigues and Christian Schlag
Maastricht University - Department of Finance and Goethe University Frankfurt
Downloads 88 (396,063)
Citation 1

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stochastic volatility, individual stocks, MCMC, volatility factors

33.

Measuring Financial Integration Via Idiosyncratic Risk: What Effects are We Really Picking Up?

Number of pages: 8 Posted: 12 Jul 2006
David C. Parsley and Christian Schlag
Vanderbilt University – Finance and Economics and Goethe University Frankfurt
Downloads 148 (272,861)

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financial market integration, risk-free rate

34.

When are Static Superhedging Strategies Optimal?

Number of pages: 34 Posted: 14 May 2004
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Sal. Oppenheim Jr. & Cie.
Downloads 147 (274,348)

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Incomplete markets, superhedging, stochastic volatility, stochastic jumps

35.

Level and Slope of Volatility Smiles in Long-Run Risk Models

SAFE Working Paper No. 186
Number of pages: 98 Posted: 06 Nov 2017 Last Revised: 14 Dec 2017
Nicole Branger, Paulo Rodrigues and Christian Schlag
University of Muenster - Finance Center Muenster, Maastricht University - Department of Finance and Goethe University Frankfurt
Downloads 134 (294,820)
Citation 3

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Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile

36.

Hedging Under Model Misspecification: All Risk Factors are Equal, But Some are More Equal than Others ...

The Journal of Futures Markets, Vol. 32, No. 5, 397–430 (2012)
Number of pages: 50 Posted: 06 Mar 2008 Last Revised: 29 Jan 2013
Nicole Branger, Christian Schlag, Eva Schneider and Norman Seeger
University of Muenster - Finance Center Muenster, Goethe University Frankfurt, Goethe University Frankfurt - Department of Finance and VU University Amsterdam
Downloads 125 (310,590)
Citation 2

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Hedging, Model Risk, Risk Measurement, Model Identification, Delta Hedge, Delta-Vega Hedge, Minimum-Variance Hedge

37.

Learning or Robust Control

Downloads 125 (310,590)

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 38 Posted: 02 Mar 2007
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
Downloads 125 (311,959)

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Portfolio Selection, Model Uncertainty, Learning, Robust Control

Learning or Robust Control

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 17 Dec 2007 Last Revised: 14 Oct 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance

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Portfolio Selection, Model Uncertainty, Learning, Robust Control

38.

Attainability of European Path-Independent Claims in Incomplete Markets

Number of pages: 17 Posted: 21 Jan 2003
Nicole Branger, Christian Schlag and Angelika Esser
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Sal. Oppenheim Jr. & Cie.
Downloads 124 (312,444)

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Incomplete markets, attainability, stochastic volatility, jump-diffusion, superhedging

39.

Temperature Volatility Risk

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 05/WP/2019
Number of pages: 53 Posted: 14 Feb 2019 Last Revised: 05 Mar 2019
Michael Donadelli, Marcus Jüppner, Antonio Paradiso and Christian Schlag
University of Brescia, Leibniz Institute for Financial Research SAFE, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt
Downloads 122 (316,156)
Citation 4

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temperature volatility, TFP, asset prices, and welfare costs

40.

Rational Laymen Versus Over-Confident Experts: Who Survives in the Long-Run?

EFA 2006 Zurich Meetings Paper
Number of pages: 37 Posted: 14 Mar 2006
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
Downloads 122 (316,156)
Citation 1

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General Equilibrium, Asset Allocation, Learning, Different Beliefs, Overconfidence

41.

Macroeconomic Bond Risks at the Zero Lower Bound

Number of pages: 47 Posted: 12 Aug 2016
Nicole Branger, Christian Schlag, Ivan Shaliastovich and Dongho Song
University of Muenster - Finance Center Muenster, Goethe University Frankfurt, University of Wisconsin - Madison and Johns Hopkins University - Carey Business School
Downloads 118 (323,709)
Citation 2

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Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia

42.

'Nobody is Perfect': Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors

SAFE Working Paper No. 114
Number of pages: 69 Posted: 12 Aug 2015
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
Downloads 102 (357,603)
Citation 1

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General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence

43.

Temperature Shocks and Welfare Costs

SAFE Working Paper No. 177
Number of pages: 49 Posted: 07 Aug 2017
Michael Donadelli, Marcus Jüppner, Max Riedel and Christian Schlag
University of Brescia, Leibniz Institute for Financial Research SAFE, Leibniz Institute for Financial Research SAFE and Goethe University Frankfurt
Downloads 98 (367,065)
Citation 7

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Temperature shocks, long-run growth, asset prices, welfare costs, adaptation

44.

Dynamic Model Selection for Stock Return Prediction Via Fused Penalization

Number of pages: 44 Posted: 09 Feb 2022
Milad Goodarzi, Christian Schlag and Sebastian von den Hoff
Goethe University Frankfurt, Goethe University Frankfurt and Goethe University Frankfurt - Graduate School of Economics, Finance and Management (GSEFM)
Downloads 91 (384,480)

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Sparsity, LASSO, fusion penalty, uncertainty

45.

Optimistic and Pessimistic Disagreement and the Cross Section of Stock Returns

Number of pages: 83 Posted: 25 Oct 2021
Ilya Dergunov, Giuliano Curatola and Christian Schlag
Australian National University (ANU), University of Siena - Department of Economics and Statistics and Goethe University Frankfurt
Downloads 88 (392,452)

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Forecast disagreement, heterogeneous beliefs, asset pricing

46.

Equilibrium Asset Pricing in Directed Networks

Deutsche Bundesbank Discussion Paper No. 37/2018
Number of pages: 47 Posted: 26 Sep 2018 Last Revised: 18 Nov 2021
Nicole Branger, Christoph Meinerding, Patrick Konermann and Christian Schlag
University of Muenster - Finance Center Muenster, Deutsche Bundesbank, BI Norwegian Business School and Goethe University Frankfurt
Downloads 63 (471,635)

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directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

47.

GMM Weighting Matrices In Cross-Sectional Asset Pricing Tests

Deutsche Bundesbank Discussion Paper No. 62/2020
Number of pages: 41 Posted: 16 Dec 2020
Nora Laurinaityte, Christoph Meinerding, Christian Schlag and Julian Thimme
Bank of Lithuania, Deutsche Bundesbank, Goethe University Frankfurt and Karlsruhe Institute of Technology
Downloads 53 (511,160)

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Asset pricing, cross-section of expected returns, GMM, factor zoo

48.

Discussion of 'Bounded Rationality, Rights Offerings, and Optimal Subscription Prices'

Schmalenbach Business Review, Vol. 60, July 2008
Number of pages: 3 Posted: 12 Oct 2008
Christian Schlag
Goethe University Frankfurt
Downloads 40 (572,267)

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Bounded Rationality, Cultural Corporate Finance, Loss Aversion, Mental Accounting, Rights Issues, Signalling

49.

Extreme Inflation and Time-Varying Consumption Growth

Deutsche Bundesbank Discussion Paper No. 16/2019
Number of pages: 57 Posted: 16 Apr 2019
Ilya Dergunov, Christoph Meinerding and Christian Schlag
Australian National University (ANU), Deutsche Bundesbank and Goethe University Frankfurt
Downloads 26 (656,286)
Citation 1

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long-run risk, inflation, recursive utility, filtering, disaster risk

50.

Equilibrium Asset Pricing in Directed Networks

Review of Finance, Volume 25, Issue 3, May 2021, 777–818., Finance Down Under 2016 Building on the Best from the Cellars of Finance, SAFE Working Paper No. 74
Posted: 11 Nov 2014 Last Revised: 24 Jun 2021
Nicole Branger, Patrick Konermann, Christoph Meinerding and Christian Schlag
University of Muenster - Finance Center Muenster, BI Norwegian Business School, Deutsche Bundesbank and Goethe University Frankfurt

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Directed cash flow networks, directed shocks, mutually exciting processes, recursive preferences

51.

Optimists and Pessimists in (In)Complete Markets

Journal of Financial and Quantitative Analysis, Volume 55, Issue 8, December 2020, 2466-2499., SAFE Working Paper No. 252
Posted: 18 Nov 2013 Last Revised: 18 Jan 2021
Nicole Branger, Patrick Konermann and Christian Schlag
University of Muenster - Finance Center Muenster, BI Norwegian Business School and Goethe University Frankfurt

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Market (in)completeness, heterogeneous beliefs, jumps in the long-run growth rate, jumps in aggregate consumption, recursive preferences

52.

Expiration Day Effects of Stock Index Derivatives in Germany

Posted: 27 Oct 1999
Christian Schlag
Goethe University Frankfurt

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1.

Pricing Two Trees When Trees and Investors are Heterogeneous

EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 01 Mar 2007 Last Revised: 26 Mar 2008
Nicole Branger, Christian Schlag and Lue Wu
University of Muenster - Finance Center Muenster, Goethe University Frankfurt and Goethe University Frankfurt - Department of Finance
Downloads 153

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Asset Pricing, Two-Tree Economy, Asymmetric Information, Learning, Long-Run Survival